I need to get the standard errors of coefficients with Ridge Regression, by calculating the SE of the beta estimates after I choose the right lambda.
ridfit = lm.ridge(y ~ atemp+aconc+wtemp+sconc+ableach, data = white, lambda = seq(0,10,.1)) select(ridfit) ## modified HKB estimator is 4.188714 designmat = cbind(rep(1,length=length(y)),atemp, aconc,wtemp,sconc,ableach) ridfitHKB = lm.ridge(y ~ atemp+aconc+wtemp+sconc+ableach, data = white, lambda = 4.188714) fvr = designmat%*%c(-18.0093065, 0.6419894, 17.4223497, 0.6830183, 22.0336205, 14.8206600) sse.rid = sum((y-fvr)^2)
Essentially, I can find the SSE of the ridge regression model, but I need to find the SE for each Bi. I am to use the lambda value selected by the above select(ridfit), which = 4.188714. But I do not know how to calculate the Bi SE with only that information.
I know that the code will not help anyone in computation, but I suspect showing my methodology and noting that I am to compute the Standard Errors from using the lambda value chosen will help.